Make sure that you use heading styles for the appendix headings as
explained at
http://www.shaunakelly.com/word/numbering/NumberingAppendixes.html.

Then, for each section, use the Page Number Format dialog box to
choose the appropriate style to include with the page number. For
general information about chapter/page numbering, see
http://word.mvps.org/faqs/numbering/ChapterNumber.htm